The Taylor Rule, Wealth Effects and the Exchange Rate
Metadatos
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http://dx.doi.org/10.1111/roie.12213 |
Metadatos
Título
The Taylor Rule, Wealth Effects and the Exchange RateFecha de publicación
2016Editor
WileyISSN
1467-9396Cita bibliográfica
Wang, R., Morley, B., & Ordóñez, J. (2016). The Taylor Rule, Wealth Effects and the Exchange Rate. Review of International Economics.Tipo de documento
info:eu-repo/semantics/articleVersión de la editorial
http://onlinelibrary.wiley.com/doi/10.1111/roie.12213/fullPalabras clave / Materias
Resumen
In this study, we develop the Taylor rule and Taylor rule-based exchange rate models that consider wealth effects as represented by both asset prices and asset wealth. Using data for Australia, Sweden, the UK and the ... [+]
In this study, we develop the Taylor rule and Taylor rule-based exchange rate models that consider wealth effects as represented by both asset prices and asset wealth. Using data for Australia, Sweden, the UK and the USA, we find that effects of asset prices and wealth on the Taylor rule vary depending on the country and on the form that wealth takes. Out-of-sample forecasting capacities of the wealth-augmented Taylor rule model and Taylor rule-based exchange rate model outperform conventional models and random walk theories for these countries. [-]
Publicado en
Review of International Economics, 2016, vol. 24, núm. 2Derechos de acceso
© 2016 John Wiley & Sons Ltd
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